By means of simultaneous thermal analysis (STA), comprising differential scanning calorimetry (DSC) and thermal gravimetry (TG), a repetitive solid state transformation has been observed which was associated with Ni ferromagnetic-paramagnetic transition within the powders of an Fe-based shape memory alloy (SMA) with nominal composition Fe-14 Mn-6 Si-9 Cr-5 Ni (mass. %). During thermal cycling up to 773 K an obvious exothermic step on heating and an endothermic step on cooling were revealed on heat flow variation with temperature, the magnitude of which augmented with decreasing the temperature variation rate. The effects of mechanical alloying and thermal cycling on this magnetic transition were analysed both from calorimetric and structural point of view, by means of a DSC thermograph and a scanning electron microscope with focussed ion beam (SEM-FIB), respectively. The latter evidenced an obvious increase of oxygen level on the surface of Fe particles of thermally cycled powders which suggests the overlapping of an oxidation process on the magnetic transition, in accordance with the data obtained by TG.